Trend-Following Backtester · Guide · backtest 한국어
equity · JP
Cosmo Energy Holdings Co., Ltd. backtest
10 trend-following strategies were compared on the full daily history of Cosmo Energy Holdings Co., Ltd.. 3 beat buy-and-hold CAGR; ROC 모멘텀 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ROC 모멘텀 (CAGR 24.1%, MDD -34.1%).
Results by strategy
3 of 10 beat buy and hold (CAGR 16.6%, drawdown -73.6%).
Sharpe leader (same as main): ROC 모멘텀 — CAGR 24.1%, MDD -34.1%, Sharpe 0.89, 64% exposure.
Return/drawdown alternative: ROC 모멘텀 — CAGR is 7.6%p higher than buy and hold, while drawdown improves by 39.6%p (CAGR 24.1%, MDD -34.1%, exposure 64%).
The alternative must retain 75% of buy-and-hold CAGR, improve drawdown by at least 20% and 5 percentage points, and stay below 95% exposure; the ranking weights return retention 60% and drawdown improvement 40%.
| Strategy · parameters | CAGR | MDD | Sharpe | Calmar | Total | Trades | Exposure |
|---|---|---|---|---|---|---|---|
| ROC 모멘텀 n=200, threshold=-0.03 |
24.1% | -34.1% | 0.89 | 0.71 | 10.6x | 35 | 64% |
| Donchian 채널 돌파 entryN=48, exitN=43 |
18.5% | -47.1% | 0.78 | 0.39 | 6.4x | 23 | 50% |
| SMA 크로스오버 fast=8, slow=209 |
19.6% | -45.6% | 0.77 | 0.43 | 7.1x | 23 | 61% |
| 볼린저 밴드 돌파 n=34, k=3.4 |
8.2% | -18.6% | 0.70 | 0.44 | 2.4x | 8 | 8% |
| Supertrend period=29, mult=4.3 |
15.2% | -53.3% | 0.67 | 0.29 | 4.7x | 45 | 56% |
| EMA 크로스오버 fast=42, slow=173 |
16.5% | -59.1% | 0.67 | 0.28 | 5.3x | 11 | 62% |
| MACD fast=21, slow=33, signal=20 |
13.7% | -34.1% | 0.63 | 0.40 | 4.1x | 119 | 52% |
| ADX / DI 방향성 period=16, threshold=30 |
8.4% | -31.8% | 0.63 | 0.26 | 2.4x | 35 | 16% |
| Keltner 채널 돌파 emaPeriod=48, atrPeriod=21, mult=2.6 |
9.9% | -37.1% | 0.55 | 0.27 | 2.8x | 47 | 36% |
| Parabolic SAR step=0.02, maxStep=0.18 |
5.3% | -48.9% | 0.33 | 0.11 | 1.7x | 217 | 53% |
| Buy and hold | 16.6% | -73.6% | 0.60 | 0.22 | 5.3x | 1 | 100% |
Rules of the top strategy
Rides the trend when recent return (momentum) over a window is above a threshold.
- Buy — Buy when the last 200-day return is greater than -3%
- Sell — Sell when the 200-day return drops to -3% or below